시장이례현상에 대한 다요인모형의 설명력
The Explanatory Power of Multifactor Models in Market Anomalies
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본 연구는 기존에 알려진 시장이례현상을 기본적 변수와 관련된 이례현상과 과거 주식수익률과 관련된 이례현상으로 나누어 종합적으로 분석하였다. 이를 위하여 Fama and French(1993)의 3요인모형, 3요인모형에 추세요인(momentum factor)이 추가된 Carhart(1997)의 4요인모형과, 3요인모형에 반전요인(contrarian factor)을 추가한 새로운 4요인모형을 이용하였다. 실증분석 결과, 기업규모, 장기간의 과거 주식수익률과 관련된 이례현상을 제외하고는 대부분의 이례현상들이 3요인모형으로 충분히 설명될 수 있는 것으로 나타났다. 또한 기업규모와 관련된 이례현상은 4요인모형으로도 설명력이 미흡하였지만, 장기간의 과거 주식수익률과 관련된 이례현상은 반전요인을 추가한 4요인모형에 의해서 대체적으로 잘 설명될 수 있는 것으로 나타났다.
Abstract
This study examines well-known market anomalies associated with fundamental variables and past stock returns. To analyze the market anomalies, we used Fama and French(1993)'s 3-factor model, Carhart(1997)'s 4-factor model and new 4-factor model including the contrarian factor. As a result of empirical analyses, anomalies except associated with firm size and long-term past stock returns(t-60 month ~ t-2 month) could be fully explained by the 3-factor models. Even though we use the 4-factor models, anomaly associated with firm size could not be explained well but anomalies associated with long-term past stock returns(t-60 month ~ t-2 month) could be generally explained well by the 4-factor model including the contrarian factor.
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